A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?

Novriana Sumarti and Rafki Hidayat

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Abstract: The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic decline that is the most severe since the 1930s. According to the International Monetary Fund (IMF), the global financial crisis gave impact on USD 3.4 trillion losses from financial institutions around the world between 2007 and 2010. Does the crisis give impact on the returns of the U.S. movie Box Office? It will be answered by doing an analysis on the financial risk model based on Extreme Value Theory (EVT) and calculations of Value at Risk (VaR) and Expected Shortfall (ES). The values of VaR and ES from 2 periods, 1982 to 1995 and 1996 to 2010, are compared. Results show that the possibility of loss for an investment in the movie industry is relatively lower than the possibility of gain for both periods of time. The values of VaR and ES for the second period are higher than the first period. We are able to conclude that the 2008 financial crisis gave no significant effect on these measurement values in the second period. This result describes the high potential opportunity in the investment of the U.S. movie makers.

Date: 2013-06
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Published in IAENG International Journal of Applied Mathematics, 41 vol. 4, 2011 pp: 343-348

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1306.0966

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